Asset Prices, Contruction Behaviour and Wealth Inequality

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I propose a heterogenous agent model with limited stock market participationand multiple asset types in an attempt to jointly study and match the salientfeatures of the data on asset prices, consumption behavior and wealthinequality. The aim is to use the model to study the interplay between thesethree areas. Although this interplay has been empirically documented inearlier work it has not yet been studied within a unified framework that is ableto reproduce joint ''stylized facts'' of the three areas.Impressive progress has been made in the development of heterogenousagent models in macroeconomics and finance over the past three decades.These models have been used to analyze a broad range of issues. Forinstance, Guvenen (2009) and Garleanu and Panageas (2015) have usedthem to study asset prices, Kaplan and Violante (2014) and Kaplan et. al.(2018) have used them to study consumption behavior. In addition, Kreugeret. al. (2016) and Gomez (2018) have used them for studying the interplaybetween wealth inequality and consumption behavior and wealth inequalityand asset prices, respectively. Although these models have been quitesuccessful in reproducing the salient features of the data on asset prices,consumption behavior and wealth inequality separately, they have been lesssuccessful in doing this when considering the joint data.\\For instance, Gomez (2018) documents that state-of-the-art models with